Applying Textures in Blender
What do you mean by import? It is already a blend file, so you can only append or link data from the file into another file.

If you are appending some parts, make sure you are selecting everything you need and, in that case, that you change your render engine to cycles before rendering (it will render grey otherwise).
It should render correctly, that model doesn't have much for textures, the most noticeable is the chair color.

In the viewport, everything will look grey if you are on 'solid mode'. See more on that here: http://www.blender.org/manual/editors/3dview/shading.html